“…These include the activity based method (Hamlen et al, 1977), the Beta method (Homburg & Scherpereel, 2008, for example) and the incremental approach (see, for instance, Jorion, 1985). In addition to these concepts, a growing body of literature has emerged that uses cooperative game theory, especially the Shapley value (Shapley, 1953), the nucleolus (Schmeidler, 1969), and the τ value — also known as cost gap method (Tijs & Driessen, 1986; Tijs, 1987), for risk allocation (Auer & Hiller, 2019; 2021; Balog et al, 2017; Mussard & Terraza, 2008; Ortmann, 2016; 2018). All approaches distribute portfolio risk to individual assets under the assumption that the portfolio is the entire stock market respectively the surrounding stock market has no influence on the distribution of portfolio risk.…”